"The day I met Bob, he was making bottle rockets and shooting them down the hallway of the hotel. I was like, this guy's fun," Murray said, reminiscing over a recent breakfast in Chicago.

"We went into Cusack's room at one point, and there was an American Express card sitting on the counter. So Bobcat wrote down the number, and during the shoot we ordered Cusack every K-Tel record, every exercise thing, everything that came on TV, we ordered to his room. We'd get done shooting at the end of the day, and he'd go to the front desk, and he'd always be like, 'Oh look, another package!' I don't think he's ever found out we did that."

Not quite 30 years later, Murray and Goldthwait have graduated from supporting-player pranksters to full-fledged collaborators with"God Bless America,"which will open Friday at Landmark's Century Centre Cinema and is already available on demand. A small film with big things to say, it was written and directed by Goldthwait as a murder-and-mayhem satire that is one part"Network,"one part"Taxi Driver,"one part "Office Space." And it stars Murray as an Everyman who has reached his limit and starts blowing away anyone who gets in his way, including overindulged reality show stars. Did I mention it's a comedy?

Long relegated to second banana, at 49 Murray appears to be finally hitting his stride. This may be his first starring role, but his career options started picking up considerably just a few years ago thanks to the first two seasons of "Mad Men," in which he played the half-in-the-bag copywriter Freddy Rumsen.

"In Hollywood, everyone watches that show, compared with anything else I've done in my career," he said. "It seems like everybody's seen that. So it opened some doors." Most recently, he played the police officer who manhandles Jean Dujardin in this year's Oscar-winning film"The Artist."

"I hope this movie opens some doors too," he said of "God Bless America." He couldn't help adding, on a note of self-deprecation: "When I'm done promoting the movie, I have to go home and get the next job."

The youngest member of a boisterous Irish-Catholic household in Wilmette, he comes from a family that spawned a performing dynasty in brothers John Murray, Brian Doyle-Murray and, most famously, Bill Murray. Not long ago, Slate crowned them the "greatest set of acting brothers," knocking the Baldwins and Wilsons off whatever imaginary perch they might have occupied.

There are nine Murray siblings, six brothers and three sisters, and their combined efforts made for raucous mealtimes.

"It was a table with 11 people every night for dinner, so picture that," Murray said. "My dad was a diabetic, which meant he was a really slow eater. So the second half of the meal was trying get him to laugh through his mouth and spit his food."

That dinner table became a training ground of sorts. "You learn a lot about timing at a table of 11. You can't just run on at the mouth because people will cut you off and never let you speak again. Billy was always really funny. Brian was always very acerbic. My mother had a dry wit. Everybody was funny. People who came to pick up my older brothers to go out, they would come during dinner and just sit and watch."

It was dinner theater.

"And that's where it kind of started. Although, when my dad was alive, nobody thought about being a comedian, because in my dad's eyes, they would have been bums." That meant Brian worked as a peanut broker at the Merc until their father's death, when he was then free to "find his inner hippie, or whatever," as Joel put it, "and he went down to Second City and started hanging out.

"And then once Brian was in the company, Billy used to go because siblings used to drink for free at Second City. And then after a while, they were like, 'Yeah, buddy, enough with the free drinks, you're going to get in this touring company,' so he got hired. And I was going there since I was 12 years old to watch my brothers. I would explain the swear words to my mother."

Despite the path set by his brothers, Murray had his sights set on other things. He passed on a role in 1980's "Caddyshack," which was co-written by his brother Brian and director Harold Ramis and based on the Murray brothers' years working as golf caddies at Indian Hill in Winnetka.

"Brian took out me out one night and said, 'There's a part that they haven't cast yet, and you'd be really good at it: He's the kind of guy we all caddied for at Indian Hill. The rich kid'" — i.e., the grandson of Ted Knight's character. "And I was like, 'No way. I'm not going to be an actor like you guys.' I was going into my senior year of high school and I wanted to play college football. And then sure enough, I went out for one workout at Northern Illinois and gave that up quick."

He ended up at Loyola University, where he met David Pasquesi, with whom he would eventually perform on the Second City mainstage years later. "Dave and I were roommates at Loyola-Rome. We met on the plane over. He reminded me of this the other day: We actually drank all the beer on the plane. The stewardesses said, 'No, you can't have another one — you've had them all.' Maybe 14, 15 beers each. But that was when we confessed to each other that we both wanted to work at the Second City one day."

Pasquesi stayed in Chicago, becoming one of the city's top improvisers (he currently performs a must-see late-night set every Wednesday at iO Theater). Murray went in another direction and left for Los Angeles 22 years ago — as a newlywed — when he was cast in a short-lived sitcom called "Grand," co-starring fellow Chicagoan Bonnie Hunt.

"You worked at Second City, you were making like $400 a week," he said. "And 'Grand' was $20,000 a week or something like that. So it was a ridiculous jump." Murray has two brothers on the West Coast, but said he thinks about moving back all the time.

"I look at real estate and the prices condos are going for on the North Side, going, 'Oh my God, this is nothing compared to Los Angeles.' And this spring, when it was 85 in Chicago and it was 40 in LA, I was like, what the heck?"

He paused over his food for a moment. "There's always been the five-year plan we joke about. My wife is also from Wilmette, and the five-year plan has always been to make a bunch of money and get out. I'm now onto my fifth five-year plan and still hoping it's going to hit." The father of four children who range in age from 11 to 22, Murray said he is thinking long term: "We've got a big house back in LA and we have two in college, so it's like, do we want to get rid of the big house so they don't move back in after college?"

His oldest attends Loyola and is apparently following in his father's footsteps. "His boys would be out drinking until 3 or 4 in morning," Goldthwait said by phone, "and then Joel would get them up at 10 a.m. to eat barbecue. It was like, 'If you're going to drink like men, you're going to eat like men. Rise and shine, boys. We're eating beef today!'"

In the meantime, Murray still performs improv every other week at iO West with former Chicagoans, including a few who work as writers on Conan O'Brien's TBStalk show. "It's not like riding a bike, it's like riding a unicycle," Murray said. "It's something you have to practice all the time. And you can look real bad, so a lot of people get afraid of that. But it's cheaper than therapy and it's a lot of fun."

Also a lot of fun? Having a drink. Or three. "I'm hungry," Murray had announced when we first sat down. "I'm hung over."

"Even though in the movies and television he plays the schlub, in real life, guys want to buy him a drink and the ladies think he's the cat's meow," Goldthwait said. "Everybody wants to buy him a drink. And Joel does not say no.

"The thing that's funny about Joel is that he was always a middle-aged dude, even when he was 23. His demeanor, his personality. Everybody's smoking pot and drinking beer, and he's having scotch. So, he's kind of fallen into who he is. His body and mind have finally fused together."

It was last year, when Goldthwait was laid up in bed recovering from back surgery watching "Mad Men," that he started thinking about Murray for the lead in "God Bless America."

"I didn't realize he wanted me to be the lead," Murray said. "I've always been the buddy or the sidekick. I've never been No. 1 on the call sheet."

Being the lead means shouldering a lot of pressure.

"So I called my brother Billy before we started shooting because I just wanted to see if he had any tips, as far as stamina or losing your voice or whatever might happen along the way — and he never called me back. He called me back 31/2 weeks later — by the time we were finished shooting — and was like, 'Yeah, what do you want to talk about, Joel?' And I was like, 'Oh, never mind.'"

The anecdote is told with a mixture of amusement and resignation. Bill Murray's mercurial tendencies are well-documented, and he is accessible to producers and agents only through a 1-800 voice mail. I asked if that was the number Joel had to call as well.

"I have, like, 11 numbers for him," he said. "You never know which one will work. I've seen him throw a cellphone out a window when he gets a little angry — just tosses the phone. And I'll think, 'Well, that number's probably not good anymore.'"

One suspects Murray has had to deflect a stream of questions over the years about his more famous older brother, although it was another famous name Mayor Richard Daley wanted to drop when they met last year.

"His press secretary had a script idea about herself basically," Murray said. "She was very nice, but I was like, 'Not sure why you got a hold of me. Good luck with that.' But we were sitting there and the intercom buzzer goes off: 'The mayor would like to meet you.' So we sat and chatted, and then he was like, 'You know, I have this fabulous photo of your brother that you have to see.' It was when he was in town with (Robert) De Niro for 'Mad Dog and Glory.

"And he was talking about how there was this young upstart politico who wanted his backing in the Illinois primary, and he said, 'Yeah, we'll find out what happens in Michigan first.' But Daley was like, 'This upstart yokel, he wanted to hang around and meet De

Niro and get in the photo, and I told him to get lost!'"Finally, Daley pulls out the photo.

"It's him between Billy and De Niro, and in the corner, poking his head into the frame, is Bill Clinton."